The error appears in Web Inspector and no corresponding HTTP request appears in the web server logs. I stepped through the execution in Safari 5.0.3, and the click handler is triggered.
This is a significant issue that impacts major apps like Google Analytics. The only workaround appears to be setting the anchor's target attribute so that the page loads in a new window, e.g., target="_blank". Opening a new window disrupts the user experience and is frowned upon.
References:
- Safari 4 Event Tracking on a Download and External Links Not Working
http://www.google.com/support/forum/p/Google%20Analytics/thread?tid=42311d8d5f74f239&hl=en
-__utm.gif Failed to load resource in Webkit when tracking clicks with Event Listeners
http://www.google.com/support/forum/p/Google%20Analytics/thread?tid=19d16348ea784a25&hl=en
Editorial note: this could be a duplicate of bug:25359 but that bug is light on details; also, the symptoms are similar to to bug:46491 but is triggered differently.

Created attachment 83075[details]
Another example with beforeUnload handler
Added a beforeUnload handler to the example to introduce a delay, in case the ping request was being interrupted by the default action due to some timing issue.